determinants of the level of interest rates

... a higher level of income • Price -Level effect of an increase in the money supply is a rise in interest rates in response to the rise in the price level • The expected-inflation effect of an increase ... rise in the price level causes the demand for money at each interest rate to increase and the demand curve to shift to the right Shifts in the Supply of Money I • Assume that the supply of money ... Money II Changes in the Demand for Money Changes in the Supply of Money Money Supply and Interest Rates I • Income effect of an increase in the money supply is a rise in the interest rate in response...

Ngày tải lên: 05/01/2014, 16:56

... Structure of Interest Rates • The risk structure of interest rates looks at bonds with the same term to maturity and different interest rates • The term structure of interest rates looks at the relationship ... n The n-period interest rate equals the average of the one-period interest rates expected to occur over the n-period life of the bond Expectations Theory • Explains why the term structure of interest ... combines the two theories to explain all three facts Term Structure of Interest Rates – Fact Expectations Theory • The interest rate on a long-term bond will equal an average of the short-term interest...

Ngày tải lên: 05/01/2014, 16:56

... rate The expression for PPP can then be written (in log-form) as vt = pt − pt* , (1) where pt is the log of the domestic price, pt* is the log of the foreign price, and vt is the log of the nominal ... However, neither of these two hypothesis can be rejected when the rest of the cointegrating vectors are left unrestricted, implying that the hypotheses of PPP and UIP should be combined In the end, ... evidence using the MAE metric (se Table 3) strengthens the results reported above The structural EqCM performs the best of all the models at all horizons (with the exception of the horizon of four quarters,...

Ngày tải lên: 15/02/2014, 05:20

... ρu uS,t−1 + εS,t (4) (5) The general identification of the overall level of interest rates with the perceived inflation goal of the central bank is a common theme in the recent macro-finance literature ... an area of macro-finance research that has examined the relationship between the term structure of interest rates and the economy in an interdisciplinary fashion The modeling of interest rates has ... Applications of the Rudebusch-Wu Model Two applications of the Rudebusch-Wu model illustrate the range of issues that such a macrofinance model can address The first of these is an exploration of the source...

Ngày tải lên: 17/02/2014, 03:20

... quantity of funds and the rise and fall of interest rates, in turn, affect the condition of the economy -the Gross National Product, the employment of resources, the level of income and the general level ... describes, at an elementary level, the meaning of interest rates; the demand for and supply of credit; the principal credit market participants; the effect of interest rates on the decisions we make ... interest rates which, in turn, affect the levels of consumer and business spending, income, the Gross National Product, the employment of resources and the level of prices Clearly, interest rates...

Ngày tải lên: 15/03/2014, 10:20

... determinants of the variable interest rates in the post-2008 period 4.1 Data Table summarises the data used in the modelling The price lenders have to pay for their funding is a key variable of interest ... particular, the paper assesses the implications of the international financial crisis on the funding costs of Irish institutions The approach also takes into account the implications of the continued ... within the analysis The rest of the paper is outlined as follows: Section provides further information on variable rates in the context of the overall Irish mortgage market; section summarises the...

Ngày tải lên: 15/03/2014, 14:20

... include the same covariates in the regressions of the categories of deposit interest rates; in the regressions of the categories of lending interest rates to households; and in the categories 20 of ... allows us to take the analysis further by inserting the determinants of interest rates, and is then used, in place of the former one, in the rest of the paper 3.1 A benchmark of integration: Italian ... banks 36 The matrices Xi,t and Zi, t include the same covariates in the regressions of the categories of deposit interest rates; in the regressions of the categories of lending interest rates to...

Ngày tải lên: 29/03/2014, 13:20

... attractive rates Despite these recent declines, graphs & indicate that Belize has the second highest lending rates in the Caribbean and has been able to offer some of the highest deposit rates in the ... behavioural factors that sustain the spread The consistency of the findings in these two models will then be used as a check and balance to corroborate the accuracy of the study The accounting method used ... for the residual as a test for the null of no cointegration 27 Appendix 10 reports the results of these tests, with most tests rejecting the null hypothesis of no cointegration, thus implying there...

Ngày tải lên: 15/03/2014, 14:20

... However, the analysis of the sources of bank interest rate risk has received much less attention in the literature The aim of this paper is to empirically investigate the main determinants of the interest ... account the statistical significance of each variable and the effect of their inclusion or removal on the goodness of fit of the model, measured through R2 As a result, a number of six out of the ... for the equality of the variances of the residual by bank, on the one hand, and period, on the other hand, has been carried out The p-values associated to the Brown-Forsythe (or modified 10 The...

Ngày tải lên: 22/03/2014, 23:20

... such as the price level of the underlying security, the tendency of volatility to revert to some long-run mean value, and the variance of the volatility process itself, among others One of the famous ... borrowing money from the lender Interest rates are the key tool in the valuation of all financial derivatives There are three different ways to define interest rates Simple interest rates: Propose a ... amount of money which the gambler has after nth game, and Xn+1 represents the various possible outcome of the n + 1th game Under the martingale condition, the expectation value of the outcomes of the...

Ngày tải lên: 09/09/2015, 08:17

... timing of such response of interest rates and exchange rates depends on the nature of the reaction of aggregate demand to the value of the domestic currency Overall, interest rates are found to react ... variables These episodes consist of the experience of some Asian EMEs at the time of the Asian crisis (1997-1998), that of some Latin American countries at the time of the Asian crisis (1997), the ... depreciations Indeed, from the perspective of the current subsection, two other factors may be important First, the timing of the response of interest rates and exchange rates is not the same for strongly...

Ngày tải lên: 22/03/2014, 23:20

... This research reflects the views of the authors and not necessarily the views of the Deutsche Bundesbank, the Federal Reserve Bank of Cleveland, or the Board of Governors of the Federal Reserve ... characteristics and the complete list of bank mergers in the US The data allow us to track the dynamics of bank mergers while controlling for the rigidity of the deposit rates and for a range of merger, ... The “efficiency hypothesis” states that the merged bank might reach economies of scale and other efficiency gains and transfer these to the customers in the form of more beneficial interest rates...

Ngày tải lên: 17/02/2014, 03:20

... greater number of degrees of freedom The exclusion of the interbank rate from the model can be adopted because of the high velocity of adjustment of the interbank rate to the policy rate in the 1990s ... that in the long run the pass-through from money market rates to bank rates has the same size independent of the sign of the shock This is also consistent with the idea that in the long run the equilibrium ... in the first period there is a greater difference in the velocity of adjustment of both bank rates towards the long-run equilibrium In particular, the signs of the coefficients show that the interest...

Ngày tải lên: 17/02/2014, 03:20

... six-month rates before and after the founding of the Fed The two rates moved together more closely in the later period, as predicted by the expectations theory of the term structure, given the greater ... interest rates This section surveys empirical evidence from the founding of the Fed and from the 1970s that demonstrates the Fed’s theory of the term power over rates Th e evidence supports the expectations ... test for evidence of the Fed’s influence on rates by examining the reaction of interest rates to Fed target changes They estimate the reaction of rates to target changes in the period from September...

Ngày tải lên: 15/03/2014, 01:20

... Second, the speed of adjustment towards the “equilibrium price of retail bank products” is significantly higher since the launch of the euro The introduction of the euro may have 11 The effect of ... several type of deposits rates on credit rates While all deposit rates are potentially key determinants of the funding costs of loans, we did not study the adjustment of rates of savings accounts ... reported in the tables is similar to the one obtained when the long terms interest rate is instrumented with the residual of its regression on the short-term interest rate The downward bias of the short-term...

Ngày tải lên: 15/03/2014, 14:20

... Also the and the amount of risk taking is non-linear Regarding variations of the interest rate around the second best, we …nd that lower rates lead to less risk taking regardless of the value of ... taxes otherwise Firms Financial and non…nancial …rms di¤er in the way they are funded, in the types of investments they make and the productivity of these investments Financial …rms …nance their ... to the right of the kink on the dotted line mark equilibria in which the high-risk intermediaries are unconstrained in the repo market In these equilibria, they collateralize only a subset of their...

Ngày tải lên: 15/03/2014, 14:20

... financial system helped the interest rates in Lebanon to decline The interest rate differential in favour of the Lebanese Pound has brought the level of dollarization of (resident private sector) ... interest rates in Lebanon In section we shed light on the literature regarding the determinants of bank net interest margins The empirical methodology of the study is presented in section The data ... that the main determinants of net interest margins are bank-specific factors, whereas others claim that the industry-specific factors are more important On the other hand, others believe that the...

Ngày tải lên: 22/03/2014, 17:20

... rate These variables cannot be used on the right hand side of the equation The real interest rate does not “Granger cause” the level of private savings, inflation volatility or any of the other ... in the second half of the 1990s prior to the introduction of the inflation targeting regime and the floating of the currency in 1999 They declined further to an annual average of about 10 percent ... outliers They have higher real interest rates because their levels of domestic savings are lower than in the other countries, but the linear prediction would suggest average interest rates about...

Ngày tải lên: 22/03/2014, 17:20

... period The level of the interest rate at the last day depends on the slope of the demand curve and the deviation of liquidity from neutral Assuming that the liquidity change takes place before the ... until the last day of the RMP It is therefore interesting to test if the volatility increase at the end of the RMP depends 40 The underbidding dummy takes value one at the allotment day of the ... situation at the last day of the RMP and, accordingly, the reserve position of the whole maintenance period These permanent changes not impact on the interest rate till the last day of the maintenance...

Ngày tải lên: 22/03/2014, 23:20

... Second, the speed of adjustment towards the “equilibrium price of retail bank products” is significantly higher since the launch of the euro The introduction of the euro may have 11 The effect of ... several type of deposits rates on credit rates While all deposit rates are potentially key determinants of the funding costs of loans, we did not study the adjustment of rates of savings accounts ... reported in the tables is similar to the one obtained when the long terms interest rate is instrumented with the residual of its regression on the short-term interest rate The downward bias of the short-term...

Ngày tải lên: 22/03/2014, 23:20